[Statlist] Next talk: Tuesday, 14.11.2017, with Patrik Guggenberger (Penn State University)

[Maurer Letizia]

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ETH and University of Zurich

Organisers:

Proff. P. Bühlmann - L. Held - T. Hothorn - M. Maathuis -
N. Meinshausen - S. van de Geer - M. Wolf

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We are glad to announce the following talk:

Tuesday, 14.11.2017, 2017 at 15.15h  ETH Zurich HG G19.2
with Patrik Guggenberger, Penn State University

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after the talk, you are kindly invited to have tea, coffee and sweets at HG G14.1


Title:

A more powerful subvector Anderson-Rubin test in linear instrumental variable regressions<https://www.math.ethz.ch/sfs/news-and-events/research-seminar.html?s=hs17#e_10881>

Abstract:

We study subvector inference in the linear instrumental variables model assuming homoskedasticity but allowing for weak instruments. The subvector Anderson and Rubin (1949) test that uses chi square critical values with degrees of freedom reduced by the number of parameters not under test, proposed by Guggenberger et al (2012), controls size but is generally conservative. We propose a conditional subvector Anderson and Rubin test that uses data-dependent critical values that adapt to the strength of identification of the parameters not under test. This test has correct size and strictly higher power than the subvector Anderson and Rubin test by Guggenberger et al (2012). We provide tables with conditional critical values so that the new test is quick and easy to use.

This abstract is also to be found under the following link: http://stat.ethz.ch/events/research_seminar

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